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Monday, July 12, 2010

Here are correlations from the list of last week's all-time highs with two major stock indices: the S&P500 and the Russell 2000. Over the last three months these stocks have had very low or negative correlations with the indices. This is to be expected - to some extent - since the indices have gone down as the stocks have gone up. Nevertheless, it is another example (following up my post last week) that there are still independent stocks that don't just follow the major market moves. See the second table for a contrasting example.

Note about the data: it is adjusted closing price data from yahoo finance. NaN = Not A Number (i.e. data not available).

Correlation vs. Indices
13-Apr-2010 to 12-Jul-2010

StockSymbol

SPYR2 (R)

IWMR2 (R)

AAP

0.60 (-0.8)

0.57 (-0.8)

AIPC

0.20 (-0.4)

0.25 (-0.5)

AKO.B

0.05 (-0.2)

0.09 (-0.3)

AZO

0.43 (-0.7)

0.44 (-0.7)

BCA

0.21 (-0.5)

0.29 (-0.5)

BCH

0.00 (0.1)

0.00 (-0.0)

BF.B

0.05 (0.2)

0.01 (0.1)

CIB

0.15 (-0.4)

0.23 (-0.5)

CPL

0.19 (-0.4)

0.26 (-0.5)

CRR

0.03 (0.2)

0.00 (0.1)

DISCB

0.00 (-0.1)

0.00 (0.0)

DLTR

0.29 (-0.5)

0.27 (-0.5)

EC

0.02 (-0.1)

0.05 (-0.2)

EPE

0.10 (0.3)

0.05 (0.2)

EVVV

0.57 (-0.8)

0.58 (-0.8)

EW

0.14 (-0.4)

0.20 (-0.4)

HSP

0.03 (0.2)

0.00 (0.1)

HWK

0.14 (-0.4)

0.16 (-0.4)

LFL

0.03 (-0.2)

0.06 (-0.2)

MIL

0.25 (-0.5)

0.32 (-0.6)

MWE

0.00 (-0.1)

0.02 (-0.1)

NEM

0.25 (-0.5)

0.27 (-0.5)

PAA

0.01 (-0.1)

0.02 (-0.1)

PSE

0.01 (-0.1)

0.01 (-0.1)

RENT

0.22 (-0.5)

0.17 (-0.4)

SAN

0.00 (-0.1)

0.03 (-0.2)

SXL

0.01 (-0.1)

0.04 (-0.2)

TLP

0.00 (0.0)

0.00 (-0.0)

VGR

0.13 (-0.4)

0.18 (-0.4)

VIT

0.28 (0.5)

0.20 (0.4)

WPZ

0.00 (-0.0)

0.01 (-0.1)

For comparison, here are how the indices correlate with each other, with bonds, and with two big stocks. Note how much higher these correlations are.